In the last decade, the performances of hedge funds were surprisingly satisfactory and recurrent. However, the bankruptcy of LTCM reminded investors of the risks associated with this asset class. The purpose of this study is to analyse systematically the relationship between the performances of...

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply...

In this study, we apply a two-step conditional Bayesian approach to hedge fund risk. In the first step, a mixture of two normal distributions is estimated for a core asset, one distribution being identified as linked to a quot;quietquot; regime, the other one to a quot;hecticquot; regime. The...

Alternative assets are gaining increasing importance in investor's portfolios. One of their defining characteristic is their poor liquidity which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more efficient methodologies like the Kalman Filter. We show that the copycats...

Recent experience has shown the importance of shocks in sovereign bond markets and the propagation of these shocks at the international level. This text analyzes these extreme risks, both in the univariate (crisis in a sole country) and the multivariate (contagion phenomena) dimensions, using...

Risk-based investment solutions are seen as incorporating no views. In this article, we propose an analytical framework that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a Black-Litterman approach, we derive closed-form...

The estimation of risk factors and their replication through mimicking portfolios are of critical importance for academics and practitioners in finance. We propose a general optimization framework to construct macro factor mimicking portfolios that encompasses existing portfolio mimicking...

Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of...

Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...